1. In a bowl, mix together the coffee and brandy.
2. In a large bowl, add the egg yolks, brandy and sugar in a glass bowl. Place this over a bain marie – i.e. a small pot of boiling water. You want to make sure that the bowl doesn’t get too hot because the egg yolks will curdle, so bring the water to a boil and then reduce it to the lowest setting so that it is gently heating the glass bowl with egg yolks. With a hand-held mixer, mix together the egg yolks, sugar and brandy for about 10 minutes on medium-high speed until the mixture doubles in size and becomes creamy and thick. Place to the side for 15 minutes.
3. In another bowl, beat the whipping cream and vanilla extract until the whipping cream begins to form stiff peaks.
4. After the egg yolk mixture has cooled for 15 minutes, mix in the mascarpone cheese. Then with a spatula, gently fold in the whipping cream.
5. Using a pan about 9 inches by 13 inches, take each lady finger and quickly dip it into the coffee mixture (about 1 second) and then place it on the bottom of the pan until the bottom of the pan is completely covered. Using a spatula, spread half of the mascarpone mixture on top of the lady fingers. Sprinkle a light dusting of cocoa powder on top of the cream. Repeat with a second layer of ladies fingers, another layer of mascarpone and another dusting of cocoa powder.
6. Place in the fridge for 4 to 6 hours to chill, and serve cool.